Automated importance sampling via optimal control for stochastic reaction networks: a Markovian projection-based approach

DOI10.1016/J.CAM.2024.115853MaRDI QIDQ6567277zbMATH OpenFDO

Authors Chiheb Ben Hammouda, Nadhir Ben Rached, R. Tempone, Sophia Wiechert

Publication date 4 July 2024

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

importance samplingstochastic optimal controlstochastic reaction networkstau-leapMarkovian projection

Mathematics Subject Classification ID

Markov processes (60J99) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited in

(1)

• Double-loop importance sampling for McKean-Vlasov stochastic differential equation

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